Gateway and Exchange Overview

Exchange Background

CBOE Futures Exchange (CFE) is owned by CBOE and is an all-electronic,
open access market that is home to volatility futures, specifically
futures on the CBOE Volatility Index® (VIX®).

Time and Time Zone

Set the machine that hosts the CFE Gateway in (UTC - 6:00)
Central Standard Time (Chicago).

Exchange Restrictions

The exchange imposes a transaction
per second limitation for each Order Session. Currently, the exchange
allows a total message volume of 150 messages for every five (5)
seconds. This includes messages related to adding new orders and
order modifications (e.g., cancel/replace, etc).

When this limit occurs, the CFE Gateway logs a message similar
to the following to the Order Server logfile:

Matching

Supported Products

Traders connecting to CFE via the CFE Gateway have access
to the full suite of products available through the existing CBOE
Gateway, including:

CBOE mini-VIX futures

CBOE Volatility Index (VIX) futures

Volatility Index (VIX) security futures

CBOE S&P 500 3-month variance futures

CBOE S&P 500 variance futures

Weekly options on mini CBOE Volatility Index (Mini-VIX)
futures

Radar Logic 28-Day Real Estate (RPX) futures

Unsupported Products

The CFE Gateway does not currently support options listed by
the CBOE Exchange. Only products listed by the CFE will be supported.

Unsupported Exchange Functionality

The CFE Gateway does not support the following exchange functionality:

Options

Market Maker Functionality

All or None (AON) order type

Wash Trade Prevention (WTP) order type

Note

CFE’s Wash Trade Prevention (WTP) orders
are Immediate or Cancel (IOC) orders that are protected from trading
with an opposing quote or order from the same Market-Maker. While
TT does not support the exchange’s WTP order, similar results can
be achieved via TT’s “Avoid orders that cross” functionality. This functionality
can be set up in either TT User Setup or X_TRADER®. For more information,
please refer to the TT
User Setup System Administration Manual and the X_TRADER® User Manual.

Trading Hours

Trading hours vary per product at CFE, so you will have to
contact the exchange for the exact trading hours and market states
for specific products. The following table shows the trading hours
for the product categories supported by the CFE Gateway (all times
are CST (UTC-6:00)).

Market orders will not be accepted by
the exchange for the VIX futures contract during extended trading
hours. Additionally, Stop orders will not be accepted at any
time for this contract. Stop Limit orders will be accepted during
both regular and extended trading hours.

CBOE Nasdaq-100 Volatility Index Futures

8:30 AM - 3:15 PM

Volatility Index Security Futures

8:30 AM - 3:00 PM (GV, OV, and VXEW contracts)

8:30
AM - 3:30 PM (VXEM contract)

CBOE S&P 500 3-month Variance Futures

8:30 AM - 3:15 PM

CBOE S&P 500 Variance Futures

8:30 AM - 3:15 PM

Weekly Options on Mini CBOE Volatility Index
(Mini VIX) Futures

8:30 AM - 3:15 PM

Radar Logic 28-Day Real Estate Index (RPX)
Futures

8:30 AM - 3:00 PM

Trading Session

CFE has its own trading session, CFE_MAIN, on the CBOEdirect
FIX 2.0 platform that supports the listing of futures.